中国债券信用评级偏倚：监管竞争-信誉成本内生化模型与福利损失分析

Bond market development is crucial to increase the share of direct financing in China and is pivotal for the further reform of China’s financial system. However, China’s bond market still suffers from fundamental issues among which credit rating bias are the most mentioned. This project plan focuses on the rating bias issue and consists of three parts. First, we expand the current models to feature regulation competition which is the main driver of China’s bond market development which is absent in the theoretical literature which deals mainly with the mature bond market with one single supervising authority. We propose a Nash-bargain and sub-game solution method to the model. Default loss retaining by the local government is another feature of China’s bond market, which is represented creatively into the model as well. Second, we identify bias types of credit rating in China such as rating inflation, ownership type bias and market segmentation type bias. This part aims to fill the gap in the literature which lacks the description of the diverse credit rating bias in developing economies. The third and last part measures the welfare loss due to the bias as well as tests the main theoretical results from the modeling part. Moreover, some controversial hypotheses in the literature are subject to China’s data. Identification of diverse bias type, welfare analysis and modeling of regulation competition and unique evidence obtained from China are the potential novelties of our project. Also, this project is promising in generating beneficial policies for China’s bond market.

发展债券市场是提高我国直接融资占比的下一个战略支点，但中国债券市场存在较严重的信用评级偏倚问题。为此，本研究首先发展了现有的评级博弈模型，提出了监管竞争下信誉成本内生化的评级博弈模型，以解释中国债券市场“所有制型”、“市场分割型”评级偏倚的特殊形态。其次，提出基于会计信息操纵、信用风险敏感性分析的实证方法检验中国债券市场多样性的信用评级偏倚，一定程度上解决了中国债券市场因缺乏违约样本而带来的信用评级质量检验难题。第三，测算信用评级偏倚引致的资源错配效率损失和社会福利损失，提出基于对比实验的随机前沿分析方法用以计量微观效率损失。本研究提出的监管竞争-信誉成本内生化评级博弈模型、中国特殊数据条件下信用评级偏倚检验方法及效率与社会福利损失计量分析，构成可能的创新。本研究也有望提出有益于中国债券市场发展的政策建议。

证据表明中国债券市场信用评级偏倚主要表现为：头部集中与尾部稀疏型信息扭曲，尤其以企业债评级的信息扭曲最为严重；受盈余管理信息操纵；存在显著的国有偏好；小微企业评级显著偏低。. 提出中国债券市场信用评级偏倚的主要原因是监管竞争与信用兜底使得内生化的信誉成本出现分化。在管制型的市场中，评级机构的信誉成本低；而在市场化监管的市场中，评级机构的信誉成本高。管制型市场本身是一个体制性偏倚的市场，而在市场化监管的市场中，评级机构追逐有隐含“兜底”保证的市场分块，采取区别性评级膨胀策略，实现利润最大化。在此基础上，提出中国地方政府债务债券化双轨制理论；提出了一个“金融-财政-货币”可能三角解决中国地方政府债务风险管控金融难题的初步理论。. 对中国债券市场信用评级偏倚的经济影响进行了实证研究，发现信用评级偏倚会对债务融资的价格产生扭曲作用，信用评级的国有偏好会导致私营企业债券融资的成本相对偏高，进一步收紧了私营企业的融资约束，阻碍了私营企业的增长和发展；信用评级偏倚对劳动力雇佣的影响最大；评级偏倚造成的资源错配导致TFP损失约13%；金融资源配置效率受损。尽管在水平意义上中国债券信用评级的价值有限，但信用评级变动峭壁（即评级变动超过1级）具有股票投资信息价值，据此提出信息均匀性假说。